This paper investigates the impact of climate risk on banks' credit risk. Using a sample of 102 banks across 21 countries in the European Economic Area (EEA) from Q3 2019 to Q2 2023, we develop a novel approach to quantifying climate risk based on banks' loan exposures to industries and countries. Our findings indicate that climate transition risk (CTR), climate physical risk (CPR), and total climate risk (CR) significantly increase banks' credit risk. These results hold across alternative credit risk measures, offering valuable insights for financial institutions, policymakers and regulators.
Weathering the Storm: How Climate Risks Shape Bank Credit Risk in European Banks / A. Bellinvia, V. Venturelli, P. Brighi, C. Algeri. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6123. - 81:(2025 May), pp. 1-9. [10.1016/j.frl.2025.107511]
Weathering the Storm: How Climate Risks Shape Bank Credit Risk in European Banks
P. Brighi
;
2025
Abstract
This paper investigates the impact of climate risk on banks' credit risk. Using a sample of 102 banks across 21 countries in the European Economic Area (EEA) from Q3 2019 to Q2 2023, we develop a novel approach to quantifying climate risk based on banks' loan exposures to industries and countries. Our findings indicate that climate transition risk (CTR), climate physical risk (CPR), and total climate risk (CR) significantly increase banks' credit risk. These results hold across alternative credit risk measures, offering valuable insights for financial institutions, policymakers and regulators.
| File | Dimensione | Formato | |
|---|---|---|---|
|
1-s2.0-S1544612325007706-main.pdf
accesso riservato
Tipologia:
Publisher's version/PDF
Licenza:
Nessuna licenza
Dimensione
583.3 kB
Formato
Adobe PDF
|
583.3 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
